Probability Inequalities for Empirical Processes and a Law of the Iterated Logarithm

Abstract

Sharp exponential bounds for the probabilities of deviations of the supremum of a (possibly non-iid) empirical process indexed by a class $\mathscr{F}$ of functions are proved under several kinds of conditions on $\mathscr{F}$. These bounds are used to establish laws of the iterated logarithm for this supremum and to obtain rates of convergence in total variation for empirical processes on the integers.